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Span

The SPAN file is produced at the end of each day by the Clearing House. The file contains a risk array for every futures and options contract that is listed on the Exchange. These risk arrays show the dollar gains / losses under each of the 16 SPAN risk scenarios for one long position in each of the futures and option contracts.

The SPAN file also contains a composite delta for each futures and options contract. The composite delta is the weighted average of each of the scenario deltas.

The SPAN file is provided in an XML based format. It can be used as an input into PC-SPAN or a tailored SPAN system.

Use the link below to download a compressed zip file containing the most recently produced SPAN (.spn) file.

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